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Mark Price

Commodity perps and equity perps use the same mark-price construction. Just as in traditional crypto assets, the Mark Price is calculated as the median of three components.
  1. Adjusted Oracle Price: Spot oracle price adjusted with a smoothed basis
  2. Book Price: Median of best bid, best ask, and last trade on the Phoenix orderbook
  3. Exchange Price: The spot oracle price plus a 375 slot EMA of the difference between the book mid price and the spot oracle price. During internal pricing periods, the EMA is taken over 9000 slots.
The third component differs from traditional crypto assets: it replaces the external perp exchange price. The oracle price can either be derived from external sources during external pricing windows or internal pricing during closed periods.

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Price Bounds

During internal pricing periods, price movements on Phoenix are capped within a range to protect users against oracle price manipulation in lower liquidity hours. The cap is set 1/(max leverage) away from the last known external market price. For example, a market with 20x maximum leverage has a 5% bound, while a market with 25x maximum leverage has a 4% bound. The matching engine does not allow trades to execute outside of the price bounds.